Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem

Journal Article · Thu Oct 15 00:00:00 EDT 2015 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-014-9276-Y· OSTI ID:22469789

Bernhard, Pierre ^[1]

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1. INRIA Sophia Antipolis-Méditerranée (France)

We prove the missing uniqueness theorem for the viscosity solution of a quasi-variational inequality related to a minimax impulse control problem modeling the option pricing with proportional transactions costs. This result makes our robust control approach of option pricing in the interval market model essentially complete.

• OSTI ID: 22469789
• Journal Information: Applied Mathematics and Optimization, Vol. 72, Issue 2; Other Information: Copyright (c) 2015 Springer Science+Business Media New York; http://www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
COMPUTERIZED SIMULATION
CONTROL
MATHEMATICAL MODELS
MATHEMATICAL SOLUTIONS
VARIATIONAL METHODS
VISCOSITY